Financial Formulas, section Options Formulas in this section Formulas for options Delta of a call option Delta of a put option Gamma of an option Payoff at expiry for the purchase of a call option Payoff at expiry for the purchase of a put option Payoff at expiry for the sale of a call option Payoff at expiry for the sale of a put option Rho of a call option Rho of a put option Standard put-call parity Theta of a call option Theta of a put option Valuation of a European call option (Black & Scholes model) Valuation of a European put option (Black & Scholes model) Value at expiry of a lookback call option with fixed strike Value at expiry of a lookback call option with variable strike Value at expiry of a lookback put option with fixed strike Value at expiry of a lookback put option with variable strike Value of a call option at expiry Value of a put option at expiry Vega of an option